| 多代理人的证券市场价格波动模型 |
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| 引用本文： | 马玉林,陈伟忠. 多代理人的证券市场价格波动模型[J]. 系统工程, 2004, 22(5): 49-52 |
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| 作者姓名： | 马玉林 陈伟忠 |
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| 作者单位： | 同济大学,现代金融研究所,上海,200092 |
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| 基金项目： | 国家自然科学基金资助项目(70273027) |
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| 摘 要： | 股票价格是许多代理人之间的相互作用或博弈的结果,投资者行为和市场情绪的转移也可以干扰资产价格。本文利用两状态Markov链构造一个金融市场上噪声交易者中乐观派和悲观派之间的动态转换模型,并分析其随机数量转换对金融市场股价波动的影响。
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| 关 键 词： | 价格波动 噪声交易者 Markov链 操纵 |
| 文章编号： | 1001-4098(2004)05-0049-04 |
Financial Price Fluctuations in a Stock Market Model with Many Interacting Agents |
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| MA Yu-lin,CHEN Wei-zhong. Financial Price Fluctuations in a Stock Market Model with Many Interacting Agents[J]. Systems Engineering, 2004, 22(5): 49-52 |
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| Authors: | MA Yu-lin CHEN Wei-zhong |
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| Abstract: | It seems natural to regard price processes as the result of an interaction or a game between many agents with bounded rationality. Asset prices may be driven by sudden shifts in the "mood of the market". In this paper, we constructed a dynamic model between fundamentalists and noise traders who can switch from each other using two-state Markov chain,it will be a new explanation to the price fluctuations on the financial market. |
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| Keywords: | Price Fluctuation Noise Trader Markov Chain Manipulation |
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